| Close | |
|---|---|
| Annualized Return | 0.0259 |
| Annualized Std Dev | 0.2747 |
| Annualized Sharpe (Rf=0%) | 0.0944 |
| Close | |
|---|---|
| Observations | 4832.0000 |
| NAs | 1.0000 |
| Minimum | -0.1945 |
| Quartile 1 | -0.0074 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0086 |
| Maximum | 0.1732 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0003 |
| Stdev | 0.0173 |
| Skewness | -0.3191 |
| Kurtosis | 14.5697 |
| Close | |
|---|---|
| Semi Deviation | 0.0126 |
| Gain Deviation | 0.0123 |
| Loss Deviation | 0.0137 |
| Downside Deviation (MAR=210%) | 0.0170 |
| Downside Deviation (Rf=0%) | 0.0125 |
| Downside Deviation (0%) | 0.0125 |
| Maximum Drawdown | 0.7612 |
| Historical VaR (95%) | -0.0262 |
| Historical ES (95%) | -0.0412 |
| Modified VaR (95%) | -0.0247 |
| Modified ES (95%) | -0.0307 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-05-22 | 2020-03-18 | NA | -0.7612 | 3230 | 2976 | NA |
| 2002-04-03 | 2003-01-27 | 2003-12-16 | -0.2422 | 419 | 198 | 221 |
| 2007-10-30 | 2008-01-23 | 2008-04-18 | -0.1727 | 118 | 58 | 60 |
| 2006-05-11 | 2006-06-13 | 2006-11-29 | -0.1532 | 141 | 23 | 118 |
| 2005-09-30 | 2005-10-20 | 2006-01-23 | -0.1505 | 78 | 15 | 63 |
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2001 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.4 | -0.1 | 1.4 |
| 2002 | -0.3 | 0.7 | 0.7 | 0.5 | 1.5 | 0 | -3.6 | -1.1 | 3.4 | 2.2 | -0.3 | -0.5 | 3 |
| 2003 | 0.8 | 1.2 | 1.3 | 0.4 | 0.7 | -0.1 | -0.8 | 1.2 | 1.3 | 1.5 | 0.9 | 0.7 | 9.4 |
| 2004 | -0.8 | 2.3 | -1.2 | 1.6 | 1.3 | -0.3 | 0.4 | 0.9 | 1.5 | -0.9 | -1.3 | -0.2 | 3.3 |
| 2005 | 1.9 | -1.6 | 1.2 | 0.6 | 1.3 | 1.5 | 0.9 | 2.7 | -1.3 | 0.2 | 2.8 | 0.1 | 10.6 |
| 2006 | -1.6 | 1.7 | -1.2 | 1 | 0.6 | 0.6 | 0.1 | 0.7 | -0.1 | -1 | -0.3 | -0.2 | 0.2 |
| 2007 | 0.8 | -0.4 | -1.1 | 0.3 | 1.1 | 0.6 | 0.2 | 1.2 | 1 | -2.4 | 0.5 | -0.7 | 0.9 |
| 2008 | 1.5 | -3 | 1.5 | -1.5 | 0.4 | -0.2 | -1 | -0.6 | -3 | 1.4 | -10.5 | 1.5 | -13.2 |
| 2009 | -1.2 | -2 | 1.8 | 3.3 | 3.6 | 0.1 | 0.2 | -1.9 | -2.8 | -3.4 | 2 | -0.5 | -1.2 |
| 2010 | 2.3 | 0.9 | 2.1 | -1.3 | -3.8 | 0.2 | -0.1 | 3.9 | 1.8 | 0.1 | 2.6 | 0.5 | 9.4 |
| 2011 | 2.4 | -1.5 | 0.9 | 1.1 | -2.5 | 1 | -0.4 | -0.7 | -2.1 | -3.4 | -0.9 | 0.4 | -5.6 |
| 2012 | 0.6 | 1.2 | 0.8 | 1 | -2.3 | 3.7 | 0.6 | 1.1 | 0.6 | 0.5 | -0.1 | 1.6 | 9.6 |
| 2013 | 0.7 | 0.1 | -0.1 | -1.2 | -2.2 | 0.6 | 0.8 | -0.4 | 0.3 | -0.4 | -0.1 | 0.8 | -1.3 |
| 2014 | -1.2 | 0.7 | 0.5 | 0 | -0.1 | 0.2 | -0.6 | 0.7 | -1.8 | 1.5 | 0.3 | -0.7 | -0.6 |
| 2015 | 0.6 | 0.2 | 0.6 | 0.1 | -0.7 | -1 | -1.6 | -3.7 | 0.4 | 0.3 | 0.9 | 0 | -4.1 |
| 2016 | -1.7 | 2.4 | -1.5 | -0.1 | 0.2 | 0.7 | -2.9 | -0.2 | 1.1 | 0.1 | 0.6 | 0 | -1.4 |
| 2017 | -0.5 | 1.5 | -0.3 | -0.2 | 0.7 | 0.2 | 0.4 | 0.7 | 0.1 | 0.9 | 0.9 | 0 | 4.4 |
| 2018 | 0.9 | -0.3 | 2 | -0.5 | 0.4 | 0.8 | -1 | -1.2 | 1.4 | 0.3 | -0.1 | 0.3 | 3 |
| 2019 | 1 | 0.9 | 1.2 | -1.6 | -1.1 | 0.2 | -2.6 | 0.1 | -1.7 | 2.4 | -0.9 | 0.4 | -1.7 |
| 2020 | -2.9 | 0.3 | -3 | -5.3 | 2.1 | -1.2 | -1.7 | -0.4 | -2.3 | 0.6 | 1.4 | -1 | -12.7 |
| 2021 | 0.5 | 1.8 | 0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.4 |
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2001-11-16 15.2 SPY 114. -0.0044 0.0145 0.0646 -0.0412 -0.163 NA NA <NA> NA NA NA
2 2001-11-21 15.7 SPY 114. -0.0066 -0.0054 0.0471 -0.0232 -0.183 NA NA <NA> NA NA NA
3 2001-11-23 15.8 SPY 116. 0.0144 0.0071 0.065 -0.0182 -0.158 NA NA <NA> NA NA NA
4 2001-11-26 15.6 SPY 116. 0.0022 0.0137 0.0485 0.0009 -0.152 NA NA <NA> NA NA NA
5 2001-11-27 15.7 SPY 115. -0.0043 -0.00290 0.0463 -0.0136 -0.143 NA NA <NA> NA NA NA
6 2001-11-28 15.5 SPY 113. -0.0181 -0.0127 0.0548 -0.028 -0.163 NA NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>